Quants' tail of woe

risk-1007-14-gif

One by one, most of the biggest names in quantitative equity trading have been disclosing huge mark-to-market losses. Analysts believe a large-scale liquidation of one or more quant equity portfolios prompted erratic moves in stock prices and correlations, and that this caused the problems during August.

Among hedge funds, star managers racked up hefty mark-to-market losses within the first 10 days of August (Risk September 2007, page 11). Renaissance Technologies' institutional equities fund

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: